Improving the Jarrow-Yildirim inflation model

A few years ago I came up with a useful improvement to the Jarrow-Yilidirm inflation model: let's diffuse the inflation curve rather than the real-yield curve. It turns out that this gives the modern inflation derivatives trader a much better risk management tool. In the attached paper I give the details. I wrote it up … Continue reading Improving the Jarrow-Yildirim inflation model

The value of open source

Of the many points made by Tom Preston-Warner in his article Open source (almost) everything, I particularly like the paragraph on why you should let your coders work on open source projects: ... dedication to open source code is an amazingly effective way to retain ... talent. Let’s face it, great developers can take their … Continue reading The value of open source

TypeScript with Underscore, a simple Grunt way

I use Underscore an awful lot. I have many good things to say about Underscore in the context of Functional Programming, but this post explains a simple one-liner which got my Underscore code quickly into our ever-increasing collection of TypeScript modules. This is not a long term, fully robust solution incorporated into our Grunt build … Continue reading TypeScript with Underscore, a simple Grunt way

A walkthrough guide to building yourself a Linux system for coding

In any technical role it is important to strike the balance between getting-things-done-quickly and knowing-all-the-details, and this is especially true when it comes to building computer systems. You can find lots of different Linux distributions to download, and most have a relatively easy system for adding components or software via some kind of package manager. … Continue reading A walkthrough guide to building yourself a Linux system for coding

Poker: become an ‘informed’ beginner

Introductory poker texts generally aim to take you from beginner- to intermediate-level. Instead, this post aims to spell out a few key messages that will take you from absolute beginner to informed beginner. It is a quick way to help you appreciate what poker is really about. If you dabble with online playing it should … Continue reading Poker: become an ‘informed’ beginner

What do normal subgroups look like?

I am in the process of writing a longer post on Galois Theory (see here), and one of the central concepts is that of a normal subgroup. We all know the definition (and their equivalents) from classes/books, but anyone who likes to 'see their mathematics' is left with the question: ... but what do they … Continue reading What do normal subgroups look like?

Are our models too complex?

Gillian Tett is a well-respected writer for the Financial Times and frequently picks up the topic of complexity in financial markets. In a recent article (see here) she makes a case that the era of number crunching is over, and that the world of investments is back again firmly in the domain of human relationships … Continue reading Are our models too complex?